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http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/17635
標題: | 結構轉換動態違約相關性模型 Regime-Switching Dynamic Default Correlation Model |
作者: | Po-Jen Tseng 曾柏壬 |
指導教授: | 李賢源(Shyan-Yuan Lee) |
關鍵字: | 投資組合信用衍生性商品,違約相關性,結構轉換,LDQBD過程,政策干預,信用風險,動態模型, portfolio credit derivatives,default correlations,regime-switching,LDQBD process,policy intervention,credit risk,dynamic model, |
出版年 : | 2013 |
學位: | 碩士 |
摘要: | 各公司之間的違約相關性動態對評價投資組合信用衍生性商品至關重要, Hull and White (2008)和Lee (2011)使用跳躍過程與純粹出生過程來建構共同違約因子與違約相關性之作法,可捕捉信用市場隨著總體因素變化而加速惡化之情況。但其模型中跳躍次數會隨時間過去而產生無限制上漲之問題,這與實際市場狀況不相符,當信用市場惡化至相當程度,政府或央行具有進場干預之誘因與能力。本文延續Hull and White (2008)和Lee (2011)之模型,改以結構轉換生死過程(LDQBD)描述跳躍模型,此模型中假設信用市場具有兩種狀態,在一般市場狀態中跳躍過程為生過程,而在政府干預狀態中跳躍過程為死過程,並以馬可夫鍊之形式建構市場結構的轉換模型。此一模型具有抑制跳躍次數無限制上漲之能力,並可透過不同結構轉換之設定捕捉未來政府干預力量之行為模式。LDQBD模型亦可將Hull and White (2008)和Lee (2011)納為一特例。 Dynamic default correlation plays an important role in the pricing of portfolio credit derivatives. Hull and White (2008) and Lee (2011) used Poisson process and pure birth process to capture the nature that default correlation increases more quickly as market environment goes down, while number of jumps is seen as common factor. Both models exhibit problem that number of jumps increases without limit as time goes by, which is not consistent with the intuition that governments or central banks would eventually step in to intervene market. This thesis extends the framework of Hull and White (2008) and Lee (2011) while generalizing the jump process to LDQBD process which has multi-regimes capturing the impact of policy interventions to credit market. This model not only avoids the problem of infinite jumps but also provides a feasible framework to capture different decision –making behavior of governments and central banks. |
URI: | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/17635 |
全文授權: | 未授權 |
顯示於系所單位: | 財務金融學系 |
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